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Don founded Kamakura Corporation in April 1990 and currently serves as its chairman and chief executive officer where he focuses on enterprise wide risk management and modern credit risk technology. His primary financial consulting and research interests involve the practical application of leading edge financial theory to solve critical financial risk management problems. Don was elected to the 50 member RISK Magazine Hall of Fame in 2002 for his work at Kamakura. Read More

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Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
info@kamakuraco.com

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields down 0.04% to 0.10% from last week while fixed rate mortgage yields are 0.02% lower.  Mortgage yields, determined by the Monday through Wednesday weekly survey of the Federal Home Loan Mortgage Corporation, lag Treasury movements simply because of the 3-day yield calculation used in the Primary Mortgage Market Survey ®.  The 10 year U.S. Treasury yield is projected to rise from 2.75% at Thursday’s close (down 0.04% from last week) to 3.168% (down 0.06% from last week) in one year.  The 10 year U.S. Treasury yield in ten years is forecast to reach 4.743%, 8 basis points lower than last week.  The 15 year fixed rate mortgage rate is forecast to rise from the effective yield of 3.41% on Thursday (unchanged from last week) to 3.861% (down 0.005% from last week) in one year and 5.75% in 10 years, unchanged from last week.

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In this update of our October 23, 2013 analysis, we track the impact on Dell Inc. bond holders of the close of the merger agreement with Michael Dell and Silver Lake Partners.  In this note we re-analyze the credit spreads for Dell Inc. (DELL). We look at data for 262 bond trades in 8 different Dell Inc. bond issues with principal value of $88.2 million on November 26, 2013.  In our October 23 post, we declined to forecast the behavior of one individual, Michael Dell, in favor of waiting to see what he does. Our analysis shows that bond holders of Dell Inc. have lost a substantial amount of value as Dell and his partners intentionally raised the probability of bankruptcy and the volatility of returns to equity holders (themselves) by aggressively leveraging the firm in an industry where leverage is rare for a reason.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields up 0.09% to 0.16% from last week while fixed rate mortgage yields are 0.01% to 0.06% higher.  Mortgage yields, determined by the Monday through Wednesday weekly survey of the Federal Home Loan Mortgage Corporation, lag Treasury movements simply because of the 3-day yield calculation used in the Primary Mortgage Market Survey ®.  The 10 year U.S. Treasury yield is projected to rise from 2.79% at Thursday’s close (up 0.10% from last week) to 3.232% (up 0.11% from last week) in one year.  The 10 year U.S. Treasury yield in ten years is forecast to reach 4.819%, 12 basis points higher than last week.  The 15 year fixed rate mortgage rate is forecast to rise from the effective yield of 3.41% on Thursday (unchanged from last week) to 3.866% (up 0.012% from last week) in one year and 5.75% in 10 years, down 0.007% from last week.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields up 0.05% to 0.12% from last week while fixed rate mortgage yields are 0.03% to 0.01% lower.  Mortgage yields, determined by the Monday through Wednesday weekly survey of the Federal Home Loan Mortgage Corporation, lag Treasury movements simply because of the 3-day yield calculation used in the Primary Mortgage Market Survey ®.  The 10 year U.S. Treasury yield is projected to rise from 2.69% at Thursday’s close (up 0.06% from last week) to 3.124% (up 0.05% from last week) in one year.  The 10 year U.S. Treasury yield in ten years is forecast to reach 4.702%, 12 basis points higher than last week.  The 15 year fixed rate mortgage rate is forecast to rise from the effective yield of 3.41% on Thursday (unchanged from last week) to 3.854% (down 0.001% from last week) in one year and 5.76% in 10 years, down 0.021% from last week.

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The Barclays PLC (BCA)(BCLYF)(BCS.D) subsidiary Barclays Bank PLC is one of the most heavily traded bond issuers in the domestic U.S. corporate bond market. Barclays PLC has had an extremely complex financial status in recent years, and the acquisition of a large part of Lehman Brothers represents just a portion of that complex history.  This complex financial history has been further aggravated by litigation expenses, past and future, involving Libor and other derivative instruments. These problems were the focus of a major feature, “Bankers,” on BBC World News on November 10.

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